Category Archives: Economic Analysis

Short-Term Rate Increase Neutralized

On December 16, 2015, when the Fed raised short-term rates, the 10-Year Note yield was at 2.29%. After about a month, the market has neutralized the Fed action and the 10-Year Note yield has fallen by about 25 basis points. … Continue reading

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Value Investors Are Reclaiming The Market

This was the worst first week of the year for U.S. stocks in at least 66 years. And this drop may not be related to interest rates, oil prices or geopolitical instability but to the fact that value investors are … Continue reading

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The Case For A Multi-Year Range-Bound Stock Market

There are at least five factors that combined may create conditions for multi-year range-bound action in the U.S. stock market: Higher market efficiency, proliferation of ETFs, a crowded momentum trade, high frequency trading and the end of stimulus. Momentum traders … Continue reading

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Stock Market Stabilization Factors And The Lost Skill

After the 1990s the stock market no longer generates significant absolute returns and price action is dominated by random drift induced by specific market stabilization factors. This change in dynamics is demonstrated by bootstrapping daily S&P 500 returns in the … Continue reading

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Low Volatility Anomaly Rules In Second Half Of This Year

Is low volatility outperformance over the years an anomaly or another academic and investment red herring? No serious trader actually cares about the answer because due to its nature finance cannot be defined rigorously. Share

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The Once-in-3-Billion-Year Treasury Move That is Not so Rare

I agree with most of what Jamie Dimon, the head of JPMorgan Chase & Co., said about the Treasury market recently but I disagree that the gyration in yields that occurred on October 15 of last year was an “unprecedented … Continue reading

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The Game of the Best of All Possible Worlds and Financial Virtual Reality

Both stocks and bonds rallied after the release of the Fed’s statement yesterday, causing investment euphoria and hopes that the best of all possible worlds, where yields are low and stocks make constantly new all-time highs, will continue. This game … Continue reading

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